Chedraui has authentic Cuban cigars, mostly Montecristos, and a few others. Prices are "good", meaning "less ridiculous than at other places". I will buy them there, at La Casa del Habano (an authorized Habanos dealer) and at Bob's. Nowhere else, including the tobacconist/head shop under the Mega. Note that buying them at Chedraui is a tedious experience that will take much longer than you would ever dream possible. (It's not as bad as buying a scooter at Mega, though...)
Cuban cigars are inherently very expensive, and the perception that Americans will pay a lot because they're forbidden and Canadians will pay a lot because cigars are very expensive in Canada keeps prices high on the island. A few are sublime experiences worth the expense. Many are not. A few aren't worth any expense at all. Great Cubans are better than great cigars from other places. Good Cubans are not as good as great or "quite good" cigars from other places.
Even Mexican cigars are not particularly inexpensive in Mexico. I've seriously considered ordering a box of my favorite Mexican Te Amo's from J R Cigar and taking them to the island, but rejected it because of the whole "coals to Newcastle" aspect. It would be a bit cheaper to do that, though.
You may bring up to 25 cigars without paying duty. You may bring any amount you want if you pay duty on the number over 25.